Does Commonality in Illiquidity Matter to Investors?
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Richard G. Anderson & Jane M. Binner & Björn Hagströmer & Birger Nilsson, 2013. "Does commonality in illiquidity matter to investors?," Working Papers 2013-020, Federal Reserve Bank of St. Louis.
References listed on IDEAS
- Acharya, Viral V. & Pedersen, Lasse Heje, 2005.
"Asset pricing with liquidity risk,"
Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
- Acharya, Viral & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers.
- Acharya, Viral & Pedersen, Lasse Heje, 2004. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 4718, C.E.P.R. Discussion Papers.
- Viral V. Acharya & Lasse Heje Pedersen, 2004. "Asset Pricing with Liquidity Risk," NBER Working Papers 10814, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2009.
"Market Liquidity and Funding Liquidity,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
- Brunnermeier, Markus & Pedersen, Lasse Heje, 2007. "Market Liquidity and Funding Liquidity," CEPR Discussion Papers 6179, C.E.P.R. Discussion Papers.
- Lasse Heje Pederson & Markus K Brunnermeier, 2007. "Market Liquidity and Funding Liquidity," FMG Discussion Papers dp580, Financial Markets Group.
- Brunnermeier, Markus K. & Pedersen, Lasse Heje, 2007. "Market liquidity and funding liquidity," LSE Research Online Documents on Economics 24478, London School of Economics and Political Science, LSE Library.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market Liquidity and Funding Liquidity," NBER Working Papers 12939, National Bureau of Economic Research, Inc.
- Christie, William G & Schultz, Paul H, 1994. "Why Do NASDAQ Market Makers Avoid Odd-Eighth Quotes?," Journal of Finance, American Finance Association, vol. 49(5), pages 1813-1840, December.
- Héléna Beltran-Lopez & Pierre Giot & Joachim Grammig, 2009.
"Commonalities in the order book,"
Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(3), pages 209-242, September.
- BELTRAN, Helena & GIOT, Pierre & GRAMMIG, Joachim, 2005. "Commonalities in the order book," LIDAM Discussion Papers CORE 2005011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Helena, BELTRAN & Pierre, GIOT & Joachim, GRAMMIG, 2005. "Commonalities in the order book," Discussion Papers (ECON - Département des Sciences Economiques) 2005014, Université catholique de Louvain, Département des Sciences Economiques.
- BELTRAN-LOPEZ, Héléna & GIOT, Pierre & GRAMMIG, Joachim, 2009. "Commonalities in the order book," LIDAM Reprints CORE 2195, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Beltran-Lopez, Héléna & Giot, Pierre & Grammig, Joachim G., 2009. "Commonalities in the order book," CFR Working Papers 09-05, University of Cologne, Centre for Financial Research (CFR).
- Tarun Chordia & Richard Roll & Avanidhar Subrahmanyam, 2001. "Market Liquidity and Trading Activity," Journal of Finance, American Finance Association, vol. 56(2), pages 501-530, April.
- Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "Liquidity commonality in commodities," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 11-20.
- Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January.
- Hallin, Marc & Mathias, Charles & Pirotte, Hugues & Veredas, David, 2011.
"Market liquidity as dynamic factors,"
Journal of Econometrics, Elsevier, vol. 163(1), pages 42-50, July.
- Marc Hallin & Charles Mathias & Hugues Pirotte & David Veredas, 2011. "Market liquidity as dynamic factors," Working Papers ECARES 163, 42-50, ULB -- Universite Libre de Bruxelles.
- repec:ulb:ulbeco:2013/136188 is not listed on IDEAS
- Brownlees, C.T. & Gallo, G.M., 2006.
"Financial econometric analysis at ultra-high frequency: Data handling concerns,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2232-2245, December.
- Christian T. Brownlees & Giampiero Gallo, 2006. "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Lee, Kuan-Hui, 2011. "The world price of liquidity risk," Journal of Financial Economics, Elsevier, vol. 99(1), pages 136-161, January.
- Cao, Melanie & Wei, Jason, 2010. "Option market liquidity: Commonality and other characteristics," Journal of Financial Markets, Elsevier, vol. 13(1), pages 20-48, February.
- Nicolaas Groenewald & Patricia Fraser, 2000. "Forecasting Beta: How Well Does the 'Five-Year Rule of Thumb' Do?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(7&8), pages 953-982.
- Brockman, Paul & Chung, Dennis Y. & Pérignon, Christophe, 2009.
"Commonality in Liquidity: A Global Perspective,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(4), pages 851-882, August.
- Paul Brockman & Dennis Y. Chung & Christophe Pérignon, 2009. "Commonality in Liquidity: A Global Perspective," Post-Print hal-00461036, HAL.
- Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- Pastor, Lubos & Stambaugh, Robert F., 2003.
"Liquidity Risk and Expected Stock Returns,"
Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
- Luboš Pástor & Robert F. Stambaugh, "undated". "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pastor & Robert F. Stambaugh, 2001. "Liquidity Risk and Expected Stock Returns," NBER Working Papers 8462, National Bureau of Economic Research, Inc.
- Stambaugh, Robert F. & Pástor, Luboš, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
- Domowitz, Ian & Hansch, Oliver & Wang, Xiaoxin, 2005. "Liquidity commonality and return co-movement," Journal of Financial Markets, Elsevier, vol. 8(4), pages 351-376, November.
- Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
- Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2013.
"Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums,"
Journal of Finance, American Finance Association, vol. 68(5), pages 1805-1841, October.
- Loriano MANCINI & Angelo RANALDO & Jan WRAMPELMEYER, 2009. "Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums," Swiss Finance Institute Research Paper Series 09-44, Swiss Finance Institute.
- Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2010. "Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums," Working Papers 2010-03, Swiss National Bank.
- Alexander Kempf & Daniel Mayston, 2008. "Liquidity Commonality Beyond Best Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(1), pages 25-40, March.
- Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
- Lee, Charles M C & Ready, Mark J, 1991. "Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
- Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," The Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 389-415.
- Sadka, Ronnie, 2006. "Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk," Journal of Financial Economics, Elsevier, vol. 80(2), pages 309-349, May.
- Asparouhova, Elena & Bessembinder, Hendrik & Kalcheva, Ivalina, 2010. "Liquidity biases in asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 215-237, May.
- Karolyi, G. Andrew & Lee, Kuan-Hui & van Dijk, Mathijs A., 2012. "Understanding commonality in liquidity around the world," Journal of Financial Economics, Elsevier, vol. 105(1), pages 82-112.
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
- Emilios C. Galariotis & Evangelos Giouvris, 2007.
"Liquidity Commonality in the London Stock Exchange,"
Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1‐2), pages 374-388, January.
- Emilios C. C Galariotis & Evangelos Giouvris, 2007. "Liquidity Commonality in the London Stock Exchange," Post-Print hal-01092452, HAL.
- Joel Hasbrouck, 2009. "Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data," Journal of Finance, American Finance Association, vol. 64(3), pages 1445-1477, June.
- Kamara, Avraham & Lou, Xiaoxia & Sadka, Ronnie, 2008. "The divergence of liquidity commonality in the cross-section of stocks," Journal of Financial Economics, Elsevier, vol. 89(3), pages 444-466, September.
- Emilios C. Galariotis & Evangelos Giouvris, 2009.
"Systematic liquidity and excess returns: evidence from the London Stock Exchange,"
Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 8(3), pages 279-307, August.
- Emilios C. C Galariotis & Evangelos Giouvris, 2009. "Systematic liquidity and excess returns: evidence from the London Stock Exchange," Post-Print hal-00771088, HAL.
- Liu, Weimin, 2006. "A liquidity-augmented capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 82(3), pages 631-671, December.
- Goyenko, Ruslan Y. & Ukhov, Andrey D., 2009. "Stock and Bond Market Liquidity: A Long-Run Empirical Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 189-212, February.
- Goyenko, Ruslan Y. & Holden, Craig W. & Trzcinka, Charles A., 2009. "Do liquidity measures measure liquidity?," Journal of Financial Economics, Elsevier, vol. 92(2), pages 153-181, May.
- Emilios C. Galariotis & Evangelos Giouvris, 2007.
"Liquidity Commonality in the London Stock Exchange,"
Journal of Business Finance & Accounting,
Wiley Blackwell, vol. 34(1‐2), pages 374-388, January.
- Emilios C. Galariotis & Evangelos Giouvris, 2007. "Liquidity Commonality in the London Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1-2), pages 374-388.
- Emilios C. Galariotis & Evangelos Giouvris, 2007. "Liquidity Commonality in the London Stock Exchange," Post-Print hal-01092452, HAL.
- Shumway, Tyler, 1997. "The Delisting Bias in CRSP Data," Journal of Finance, American Finance Association, vol. 52(1), pages 327-340, March.
- Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
- Huberman, Gur & Halka, Dominika, 2001.
"Systematic Liquidity,"
Journal of Financial Research,
Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 161-178, Summer.
- Huberman, G. & Halka, D., 1999. "Systematic Liquidity," Papers 99-9, Columbia - Graduate School of Business.
- Coughenour, Jay F. & Saad, Mohsen M., 2004. "Common market makers and commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 73(1), pages 37-69, July.
- Paul Brockman & Dennis Y. Chung, 2002. "Commonality in Liquidity: Evidence from an Order‐Driven Market Structure," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(4), pages 521-539, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Martin Hoesli & Anjeza Kadilli & Kustrim Reka, 2017.
"Commonality in Liquidity and Real Estate Securities,"
The Journal of Real Estate Finance and Economics, Springer, vol. 55(1), pages 65-105, July.
- Martin HOESLI & Anjeza KADILLI & Kustrim REKA, 2014. "Commonality in Liquidity and Real Estate Securities," Swiss Finance Institute Research Paper Series 14-30, Swiss Finance Institute.
- Beyene, Nardos & Huang, Peng & Hueng, C. James, 2021. "Illiquidity contagion and pricing of commonality risk: Evidence from a dynamic conditional correlation model," Finance Research Letters, Elsevier, vol. 39(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
- Karolyi, G. Andrew & Lee, Kuan-Hui & van Dijk, Mathijs A., 2012. "Understanding commonality in liquidity around the world," Journal of Financial Economics, Elsevier, vol. 105(1), pages 82-112.
- Rösch, Christoph G. & Kaserer, Christoph, 2013. "Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2284-2302.
- Rösch, Christoph G. & Kaserer, Christoph, 2014. "Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 152-170.
- Hagströmer, Björn & Hansson, Björn & Nilsson, Birger, 2013. "The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4476-4487.
- Ijaz Ur Rehman & Nurul Shahnaz Mahdzan & Rozaimah Zainudin, 2016. "Is the relationship between macroeconomy and stock market liquidity mutually reinforcing? Evidence from an emerging market," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(3), pages 294-316.
- Hadhri, Sinda & Ftiti, Zied, 2019. "Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?," Economic Systems, Elsevier, vol. 43(3).
- Anagnostidis, Panagiotis & Fontaine, Patrice, 2020. "Liquidity commonality and high frequency trading: Evidence from the French stock market," International Review of Financial Analysis, Elsevier, vol. 69(C).
- Miralles Marcelo, José Luis & Miralles Quirós, María Del Mar & Oliveira, Célia, 2015. "Systematic liquidity: commonality and inter-temporal variation in the Portuguese stock market," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
- Panagiotis Panagiotou & Xu Jiang & Angel Gavilan, 2023. "The determinants of liquidity commonality in the Euro-area sovereign bond market," The European Journal of Finance, Taylor & Francis Journals, vol. 29(10), pages 1144-1186, July.
- Hagströmer, Björn & Nilsson, Birger & Hansson, Björn, 2011. "The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010," Working Papers 2011:24, Lund University, Department of Economics.
- Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015.
"Understanding FX Liquidity,"
The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
- Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul, 2013. "Understanding FX Liquidity," Working Papers on Finance 1315, University of St. Gallen, School of Finance, revised Apr 2015.
- Joanna Olbrys, 2019. "Intra-market commonality in liquidity: new evidence from the Polish stock exchange," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 14(2), pages 251-275, June.
- Moshirian, Fariborz & Qian, Xiaolin & Wee, Claudia Koon Ghee & Zhang, Bohui, 2017. "The determinants and pricing of liquidity commonality around the world," Journal of Financial Markets, Elsevier, vol. 33(C), pages 22-41.
- Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
- Mayordomo, Sergio & Rodriguez-Moreno, Maria & Peña, Juan Ignacio, 2014.
"Liquidity commonalities in the corporate CDS market around the 2007–2012 financial crisis,"
International Review of Economics & Finance, Elsevier, vol. 31(C), pages 171-192.
- Sergio Mayordomo & Juan Ignacio Peña & MarÃa RodrÃguez-Moreno, 2012. "Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis," Faculty Working Papers 23/12, School of Economics and Business Administration, University of Navarra.
- Syeda Hina Zaidi & Nousheen Tariq Bhutta, 2021. "Liquidity Synchronization and Asset Valuation in Selected Emerging Asian Economies," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(6), pages 488-500.
- Suardi, Sandy & Xu, Caihong & Zhou, Z. Ivy, 2022. "COVID-19 pandemic and liquidity commonality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
- Saad, Mohsen & Samet, Anis, 2020. "Collectivism and commonality in liquidity," Journal of Business Research, Elsevier, vol. 116(C), pages 137-162.
- Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013.
"Economic valuation of liquidity timing,"
Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
- Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel, 2013. "Economic Valuation of Liquidity Timing," Tinbergen Institute Discussion Papers 13-156/IV/DSF64, Tinbergen Institute.
More about this item
Keywords
commonality; commonality risk premium; asset illiquidity; systematic illiquidity; liquidity; effective tick;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:lunewp:2013_024. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Iker Arregui Alegria (email available below). General contact details of provider: https://edirc.repec.org/data/delunse.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.